PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

Stocks

Last updated Dec 2, 2023

Asset Allocation


LE 55%SPY 30%AAPL 10%L 5%EquityEquity
PositionCategory/SectorWeight
LE
Lands' End, Inc.
Consumer Cyclical55%
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities30%
AAPL
Apple Inc.
Technology10%
L
Loews Corporation
Financial Services5%

Performance

The chart shows the growth of an initial investment of $10,000 in Stocks, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


20.00%40.00%60.00%80.00%100.00%120.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
21.01%
145.44%
Stocks
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 20, 2014, corresponding to the inception date of LE

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Stocks7.10%3.63%-10.57%3.61%-0.20%N/A
SPY
SPDR S&P 500 ETF
21.38%8.62%8.06%14.47%12.63%11.87%
AAPL
Apple Inc.
48.01%10.07%5.97%29.67%34.94%26.90%
LE
Lands' End, Inc.
-11.73%9.66%-25.88%-16.77%-20.63%N/A
L
Loews Corporation
20.51%7.56%20.90%21.11%8.35%4.62%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-5.12%13.78%12.73%-11.30%-3.84%-9.41%11.09%

Sharpe Ratio

The current Stocks Sharpe ratio is -0.39. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.00-0.39

The Sharpe ratio of Stocks is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.39
0.91
Stocks
Benchmark (^GSPC)
Portfolio components

Dividend yield

Stocks granted a 0.49% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Stocks0.49%0.59%0.43%0.55%0.65%0.82%0.71%0.83%0.84%0.76%0.78%0.78%
SPY
SPDR S&P 500 ETF
1.42%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%2.18%
AAPL
Apple Inc.
0.50%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%1.00%
LE
Lands' End, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
L
Loews Corporation
0.36%0.43%0.43%0.56%0.48%0.55%0.50%0.53%0.65%0.59%0.52%0.61%

Expense Ratio

The Stocks has an expense ratio of 0.03% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.09%
0.00%2.15%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
SPY
SPDR S&P 500 ETF
1.04
AAPL
Apple Inc.
1.38
LE
Lands' End, Inc.
-0.53
L
Loews Corporation
1.13

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

LELAAPLSPY
LE1.000.240.220.34
L0.241.000.350.64
AAPL0.220.351.000.70
SPY0.340.640.701.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-58.21%
-4.21%
Stocks
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Stocks. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Stocks was 63.43%, occurring on Mar 13, 2023. The portfolio has not yet recovered.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-63.43%Jul 23, 2021412Mar 13, 2023
-60.79%Dec 30, 20141325Apr 3, 2020145Oct 29, 20201470
-29.81%Mar 18, 202139May 12, 202134Jun 30, 202173
-18.64%Nov 27, 202011Dec 11, 202020Jan 12, 202131
-13.66%Mar 21, 201416Apr 11, 201444Jun 16, 201460

Volatility Chart

The current Stocks volatility is 6.89%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
6.89%
2.79%
Stocks
Benchmark (^GSPC)
Portfolio components
0 comments